Applications of the Periodogram Method for Perturbed Block Toeplitz Matrices in Statistical Signal Processing

In this paper, we combine the periodogram method for perturbed block Toeplitz matrices with the Cholesky decomposition to give a parameter estimation method for any perturbed vector autoregressive (VAR) or vector moving average (VMA) process, when we only know a perturbed version of the sequence of correlation matrices of the process. In order to combine the periodogram method for perturbed block Toeplitz matrices with the Cholesky decomposition, we first need to generalize a known result on the Cholesky decomposition of Toeplitz matrices to perturbed block Toeplitz matrices.

A Family of Maximal Algebras of Block Toeplitz Matrices

The maximal commutative subalgebras containing only Toeplitz matrices have been identified as generalized circulants. A similar simple description cannot be obtained for block Toeplitz matrices. We introduce and investigate certain families of maximal commutative algebras of block Toeplitz matrices.